Review of Financial Studies Vol. 5 No. 1 1992
A Further Analysis of the Lead--Lag Relationship Between the Cash Market and Stock Index Futures Market
Abstract
[The intraday lead-lag relation between returns of the Major Market cash index and returns of the Major Market Index futures and S&P 500 futures is investigated. Empirical results show strong evidence that the futures leads the cash index and weak evidence that the cash index leads the futures. The asymmetric lead-lag relation holds between the futures and all component stocks, including those that trade in almost every five-minute interval. Evidence indicates that when more stocks move together (market-wide information) the futures leads the cash index to a greater degree. This suggests that the futures market is the main source of market-wide information.]
- Volume
- 5
- Issue
- 1
- Pages
- 123-152
- Sources
- bibtex:phds-export.bib